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Price Regulation in Property-Liability Insurance: A Contingent-Claims Approach
A discrete-time option-pricing model is used to derive the “fair” rate of return for the property-liability insurance firm. The rationale for the use of this model is that the financial claims ofExpand
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Although financial pricing models imply that profits of property-liability insurance firms should conform to an unpredictable time series process, cycles are widely reported. Some controversy existsExpand
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Incentive Contracting and the Role of Participation Rights in Stock Insurers
Corporate limited liability creates incentives for owners to shift risks onto creditors by substituting high-risk assets for low-risk assets because it rewards owners with the benefits of riskyExpand
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On Corporate Insurance
Although insurance contracts are regularly purchased by corporations and play an important role in the management of corporate risk, only recently has this role received much attention in the financeExpand
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The Demand for Reinsurance: Theory and Empirical Tests
This paper investigates the valuation effects of reinsurance purchases in a contingent claims framework. The comparative statics of the model suggest that, other things held constant, the demand forExpand
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On the Implications of the Internet for Insurance Markets and Institutions
Focus ABSTRACT By most accounts, the Internet and related advances in information technology significantly affect financial services in general and insurance markets and institutions in particular.Expand
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A Reexamination of the Relationship Between Preferences and Moment Orderings by Rational Risk-Averse Investors
This article examines the relationship between risk, return, skewness, and utility-based preferences. Examples are constructed showing that, for any commonly used utility function, it is possible toExpand
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On the Application of Finance Theory to the Insurance Firm
Traditional risk theory has tended to view the insurance firm too much from within. Although the insurance firm exists in an economic environment within which it must compete with other insuranceExpand
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Reinsurance, Taxes And Efficiency: A Contingent Claims Model Of Insurance Market Equilibrium
This paper presents an analytical model of underwriting capacity and insurance market equilibrium under an asymmetric corporate tax schedule. It is shown that reinsurance markets enable risk-neutralExpand
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Adverse Selection in Reinsurance Markets
This paper looks for evidence of adverse selection in the relationship between primary insurers and reinsurers. We test the implications of a model in which informational asymmetry—and therefore, itsExpand
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